Exploratory data analysis for moderate extreme values using non-parametric kernel methods (1602.08807v3)

Abstract: In many settings it is critical to accurately model the extreme tail behaviour of a random process. Non-parametric density estimation methods are commonly implemented as exploratory data analysis techniques for this purpose as they possess excellent visualisation properties, and can naturally avoid the model specification biases implied by using parametric estimators. In particular, kernel-based estimators place minimal assumptions on the data, and provide improved visualisation over scatterplots and histograms. However kernel density estimators are known to perform poorly when estimating extreme tail behaviour, which is important when interest is in process behaviour above some large threshold, and they can over-emphasise bumps in the density for heavy tailed data. In this article we develop a transformation kernel density estimator, and demonstrate that its mean integrated squared error (MISE) efficiency is equivalent to that of standard, non-tail focused kernel density estimators. Estimator performance is illustrated in numerical studies, and in an expanded analysis of the ability of well known global climate models to reproduce observed temperature extremes in Sydney, Australia.